{smcl}
{com}{sf}{ul off}{txt}{.-}
      name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\3 Estimation\Estimation2.smcl
  {txt}log type:  {res}smcl
 {txt}opened on:  {res}31 Oct 2025, 09:30:19
{txt}
{com}. /* Define local and global variables */
> 
> do global;
{txt}
{com}. /* global.do (STATA)
>         Define global variables in "Estimation".
>         by Ralph Koijen & Motohiro Yogo */
. 
. #delimit ;
{txt}delimiter now ;
{com}. clear all;
{res}{txt}
{com}. global macro = "LgdpP LgdpPpc Gcpi vol drate";
{txt}
{com}. global bilateral = "dist";
{txt}
{com}. global dummies = "Iown I_CR I_OC Iyear_*";
{txt}
{com}. global dummiesA = "Itype_*";
{txt}
{com}. global iv = "IVexdemand";
{txt}
{com}. global ivA = "LSdelta*";
{txt}
{com}. 
{txt}end of do-file

{com}. /* Call the ado file */
> 
> Estimation 2 .;

{txt}{col 1}Panel variable: {res}year{txt} (unbalanced)
(67,759 missing values generated)
(67,759 missing values generated)
(3,822 missing values generated)
(63,937 real changes made)
(3,822 missing values generated)

Linear regression                               Number of obs     = {res}     1,352
                                                {txt}F(2, 1350)        =  {res}  1564.65
                                                {txt}Prob > F          = {res}    0.0000
                                                {txt}R-squared         = {res}    0.7349
                                                {txt}Root MSE          =    {res} 1.1091

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 14}{c |}{col 26}    Robust
{col 1}   LrwealthA{col 14}{c |} Coefficient{col 26}  std. err.{col 38}      t{col 46}   P>|t|{col 54}     [95% con{col 67}f. interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}Itype_1 {c |}{col 14}{res}{space 2}-2.578099{col 26}{space 2}   .04695{col 37}{space 1}  -54.91{col 46}{space 3}0.000{col 54}{space 4}-2.670202{col 67}{space 3}-2.485996
{txt}{space 5}Itype_2 {c |}{col 14}{res}{space 2}-.4044577{col 26}{space 2} .0378785{col 37}{space 1}  -10.68{col 46}{space 3}0.000{col 54}{space 4}-.4787648{col 67}{space 3}-.3301505
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}(3,822 missing values generated)
(3,822 missing values generated)
(67,759 missing values generated)
(67,759 missing values generated)
{res}{txt}`"AUS"' `"AUT"' `"BEL"' `"BRA"' `"CAN"' `"CHE"' `"CHN"' `"COL"' `"CZE"' `"DEU"' `"DNK"' `"ESP"' `"FIN"' `"FRA"' `"GBR"' `"GRC"' `"HKG"' `"HUN"' `"IND"' `"ISR"' `"ITA"' `"JPN"' `"KOR"' `"MEX"' `"MYS"' `"NLD"' `"NOR"' `"NZL"' `"PHL"' `"POL"' `"PRT"' `"RUS"' `"SGP"' `"SWE"' `"THA"' `"USA"' `"ZAF"' `"_CR"' `"_OC"'
(67,759 missing values generated)
(67,759 missing values generated)
{res}
{txt}{col 3}First-stage regression summary statistics
{res}{col 3}{text}{hline 13}{c TT}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}
{col 16}{c |}{col 29}Adjusted{col 43}Partial
{col 3}{text}    Variable{col 16}{c |}   R-sq.{col 29}   R-sq.{col 41}    R-sq.{col 53} F(1,20521){col 65}  Prob > F
{res}{col 3}{text}{hline 13}{c +}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}
{col 3}{text}        Eret{col 16}{c |}{result}{space 2}0.4270{col 29}{space 2}0.4262{col 41}{space 3}0.0063{col 53}{space 3} 130.094{col 65}{space 3}0.0000
{col 3}{text}{hline 13}{c BT}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}


{col 3}Minimum eigenvalue statistic = {res}130.094     

{txt}{col 3}Critical Values{col 40}# of endogenous regressors:{res}    1
{txt}{col 3}H0: Instruments are weak{col 40}# of excluded instruments: {res}    1
{txt}{col 3}{hline 35}{c TT}{hline 33}
{col 38}{c |}{col 43}5%     10%     20%     30%
{col 3}2SLS relative bias{col 38}{c |}{col 48}(not available)
{col 3}{hline 35}{c +}{hline 33}
{col 38}{c |}{col 42}10%     15%     20%     25%
{col 3}2SLS size of nominal 5% Wald test{col 38}{c |}{res}{col 41}16.38{col 49} 8.96{col 57} 6.66{col 65} 5.53
{txt}{col 3}LIML size of nominal 5% Wald test{col 38}{c |}{res}{col 41}16.38{col 49} 8.96{col 57} 6.66{col 65} 5.53
{txt}{col 3}{hline 35}{c BT}{hline 33}

{res}
{txt}{col 3}First-stage regression summary statistics
{res}{col 3}{text}{hline 13}{c TT}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}
{col 16}{c |}{col 29}Adjusted{col 43}Partial
{col 3}{text}    Variable{col 16}{c |}   R-sq.{col 29}   R-sq.{col 41}    R-sq.{col 53} F(1,23403){col 65}  Prob > F
{res}{col 3}{text}{hline 13}{c +}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}
{col 3}{text}        Eret{col 16}{c |}{result}{space 2}0.6310{col 29}{space 2}0.6306{col 41}{space 3}0.0525{col 53}{space 3} 1297.05{col 65}{space 3}0.0000
{col 3}{text}{hline 13}{c BT}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}


{col 3}Minimum eigenvalue statistic = {res}1297.05     

{txt}{col 3}Critical Values{col 40}# of endogenous regressors:{res}    1
{txt}{col 3}H0: Instruments are weak{col 40}# of excluded instruments: {res}    1
{txt}{col 3}{hline 35}{c TT}{hline 33}
{col 38}{c |}{col 43}5%     10%     20%     30%
{col 3}2SLS relative bias{col 38}{c |}{col 48}(not available)
{col 3}{hline 35}{c +}{hline 33}
{col 38}{c |}{col 42}10%     15%     20%     25%
{col 3}2SLS size of nominal 5% Wald test{col 38}{c |}{res}{col 41}16.38{col 49} 8.96{col 57} 6.66{col 65} 5.53
{txt}{col 3}LIML size of nominal 5% Wald test{col 38}{c |}{res}{col 41}16.38{col 49} 8.96{col 57} 6.66{col 65} 5.53
{txt}{col 3}{hline 35}{c BT}{hline 33}

{res}
{txt}{col 3}First-stage regression summary statistics
{res}{col 3}{text}{hline 13}{c TT}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}
{col 16}{c |}{col 29}Adjusted{col 43}Partial
{col 3}{text}    Variable{col 16}{c |}   R-sq.{col 29}   R-sq.{col 41}    R-sq.{col 53} F(1,23751){col 65}  Prob > F
{res}{col 3}{text}{hline 13}{c +}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}
{col 3}{text}        Eret{col 16}{c |}{result}{space 2}0.5162{col 29}{space 2}0.5157{col 41}{space 3}0.0219{col 53}{space 3} 531.004{col 65}{space 3}0.0000
{col 3}{text}{hline 13}{c BT}{hline 12}{hline 12}{hline 12}{hline 12}{hline 12}


{col 3}Minimum eigenvalue statistic = {res}531.004     

{txt}{col 3}Critical Values{col 40}# of endogenous regressors:{res}    1
{txt}{col 3}H0: Instruments are weak{col 40}# of excluded instruments: {res}    1
{txt}{col 3}{hline 35}{c TT}{hline 33}
{col 38}{c |}{col 43}5%     10%     20%     30%
{col 3}2SLS relative bias{col 38}{c |}{col 48}(not available)
{col 3}{hline 35}{c +}{hline 33}
{col 38}{c |}{col 42}10%     15%     20%     25%
{col 3}2SLS size of nominal 5% Wald test{col 38}{c |}{res}{col 41}16.38{col 49} 8.96{col 57} 6.66{col 65} 5.53
{txt}{col 3}LIML size of nominal 5% Wald test{col 38}{c |}{res}{col 41}16.38{col 49} 8.96{col 57} 6.66{col 65} 5.53
{txt}{col 3}{hline 35}{c BT}{hline 33}

{res}{txt}{p 0 1 2}
(saving
Var_b1[28,28],
Var_b2[28,28],
Var_b3[28,28],
b1[1,28],
b2[1,28],
b3[1,28])
{p_end}
{txt:file Estimation2.mmat saved}
{res}
{txt}                    Eret1        Eret2        Eret3
{txt}                     b/se         b/se         b/se
{txt}IVexdemand  {res}        -0.01        -0.06        -0.05{txt}
            {res}         0.00         0.00         0.00{txt}
{txt}LgdpP       {res}        -0.01        -0.07        -0.05{txt}
            {res}         0.00         0.00         0.00{txt}
{txt}LgdpPpc     {res}        -0.15        -0.19        -0.26{txt}
            {res}         0.00         0.00         0.00{txt}
{txt}Gcpi        {res}         1.63         2.74         1.84{txt}
            {res}         0.06         0.07         0.08{txt}
{txt}vol         {res}         0.04         0.14         0.16{txt}
            {res}         0.02         0.02         0.02{txt}
{txt}drate       {res}         0.12        -1.98        -0.42{txt}
            {res}         0.05         0.08         0.07{txt}
{txt}dist        {res}        -0.01        -0.01        -0.01{txt}
            {res}         0.00         0.00         0.00{txt}
{txt}Iown        {res}        -0.03        -0.04        -0.05{txt}
            {res}         0.00         0.01         0.01{txt}
{txt}I_CR        {res}         0.06         0.05         0.04{txt}
            {res}         0.00         0.00         0.01{txt}
{txt}I_OC        {res}         0.06         0.05         0.04{txt}
            {res}         0.00         0.00         0.01{txt}
{txt}_cons       {res}         1.57         2.24         3.16{txt}
            {res}         0.03         0.03         0.04{txt}
{txt}N           {res}        20549        23431        23779{txt}
{res}
{txt}                     Lrw1         Lrw2         Lrw3
{txt}                     b/se         b/se         b/se
{txt}Eret        {res}        14.33         4.52        10.31{txt}
            {res}         2.32         0.51         0.78{txt}
{txt}LgdpP       {res}         1.28         1.10         1.34{txt}
            {res}         0.02         0.01         0.02{txt}
{txt}LgdpPpc     {res}         3.67         2.16         3.94{txt}
            {res}         0.35         0.11         0.21{txt}
{txt}Gcpi        {res}       -23.49        -9.22       -17.22{txt}
            {res}         4.22         1.79         1.89{txt}
{txt}vol         {res}        -2.83        -0.52        -4.92{txt}
            {res}         0.40         0.27         0.33{txt}
{txt}drate       {res}        -0.77        10.24        11.63{txt}
            {res}         1.26         1.29         1.16{txt}
{txt}dist        {res}        -0.08        -0.18        -0.15{txt}
            {res}         0.01         0.00         0.01{txt}
{txt}Iown        {res}         8.46         6.19         7.68{txt}
            {res}         0.18         0.09         0.14{txt}
{txt}I_CR        {res}         0.01         0.10        -2.84{txt}
            {res}         0.19         0.10         0.14{txt}
{txt}I_OC        {res}         0.78         0.77        -1.87{txt}
            {res}         0.17         0.06         0.10{txt}
{txt}_cons       {res}       -52.35       -34.78       -54.14{txt}
            {res}         3.67         1.15         2.37{txt}
{txt}N           {res}        20549        23431        23779{txt}
(67,759 missing values generated)
{res}{txt}`"AUS"' `"AUT"' `"BEL"' `"BRA"' `"CAN"' `"CHE"' `"CHN"' `"COL"' `"CZE"' `"DEU"' `"DNK"' `"ESP"' `"FIN"' `"FRA"' `"GBR"' `"GRC"' `"HKG"' `"HUN"' `"IND"' `"ISR"' `"ITA"' `"JPN"' `"KOR"' `"MEX"' `"MYS"' `"NLD"' `"NOR"' `"NZL"' `"PHL"' `"POL"' `"PRT"' `"RUS"' `"SGP"' `"SWE"' `"THA"' `"USA"' `"ZAF"' `"_CR"' `"_OC"'
(67,759 real changes made)
(23,779 missing values generated)
(23,779 missing values generated)
(23,779 missing values generated)
{res}
{txt}{col 3}Shea's partial R-squared
{res}{col 3}{text}{hline 13}{c TT}{hline 18}{hline 18}
{col 16}{c |}{col 22}Shea's{col 41}Shea's
{col 3}{text}    Variable{col 16}{c |}  partial R-sq.{col 35}adj. partial R-sq.
{res}{col 3}{text}{hline 13}{c +}{hline 18}{hline 18}
{col 3}{text}       LSrw1{col 16}{c |}{result}{space 5}0.5503{col 35}{space 6}0.5489
{col 3}{text}       LSrw2{col 16}{c |}{result}{space 5}0.6130{col 35}{space 6}0.6118
{col 3}{text}       LSrw3{col 16}{c |}{result}{space 5}0.3510{col 35}{space 6}0.3490
{col 3}{text}{hline 13}{c BT}{hline 18}{hline 18}


{col 3}Minimum eigenvalue statistic = {res}414         

{txt}{col 3}Critical Values{col 40}# of endogenous regressors:{res}    3
{txt}{col 3}H0: Instruments are weak{col 40}# of excluded instruments: {res}    3
{txt}{col 3}{hline 35}{c TT}{hline 33}
{col 38}{c |}{col 43}5%     10%     20%     30%
{col 3}2SLS relative bias{col 38}{c |}{col 48}(not available)
{col 3}{hline 35}{c +}{hline 33}
{col 38}{c |}{col 42}10%     15%     20%     25%
{col 3}2SLS size of nominal 5% Wald test{col 38}{c |}{col 48}(not available)
{col 3}LIML size of nominal 5% Wald test{col 38}{c |}{col 48}(not available)
{col 3}{hline 35}{c BT}{hline 33}

{res}{txt}(23,779 missing values generated)
(23,779 real changes made)
(20,549 real changes made)
(23,431 real changes made)
{res}
{txt}                    LSrw1        LSrw2        LSrw3
{txt}                     b/se         b/se         b/se
{txt}LSdelta1    {res}         0.83         0.02        -0.19{txt}
            {res}         0.02         0.00         0.03{txt}
{txt}LSdelta2    {res}         0.06         0.86        -0.18{txt}
            {res}         0.01         0.03         0.06{txt}
{txt}LSdelta3    {res}         0.09         0.06         0.72{txt}
            {res}         0.02         0.01         0.03{txt}
{txt}Itype_1     {res}         1.09         0.11        -2.03{txt}
            {res}         0.07         0.02         0.08{txt}
{txt}Itype_2     {res}         0.16         0.88        -2.33{txt}
            {res}         0.03         0.06         0.09{txt}
{txt}N           {res}         1352         1352         1352{txt}
{res}
{txt}                LrwealthA
{txt}                     b/se
{txt}LSrw1       {res}         0.31{txt}
            {res}         0.03{txt}
{txt}LSrw2       {res}         0.62{txt}
            {res}         0.06{txt}
{txt}LSrw3       {res}         0.63{txt}
            {res}         0.05{txt}
{txt}Itype_1     {res}        -0.77{txt}
            {res}         0.21{txt}
{txt}Itype_2     {res}         1.19{txt}
            {res}         0.23{txt}
{txt}N           {res}         1352{txt}
{p 0 4 2}
file {bf}
Estimation2.dta{rm}
saved
{p_end}

{com}. log close;
      {txt}name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\3 Estimation\Estimation2.smcl
  {txt}log type:  {res}smcl
 {txt}closed on:  {res}31 Oct 2025, 09:30:36
{txt}{.-}
{smcl}
{txt}{sf}{ul off}